MARKET VOLATILITY AND THE DISTRIBUTION OF MEAN CLUSTER SIZES FOR PERCOLATION

Dietrich Stauffer ()
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Dietrich Stauffer: Institute for Theoretical Physics, Cologne University, D-50923 Köln, Euroland, Germany

International Journal of Modern Physics C (IJMPC), 2000, vol. 11, issue 03, 519-524

Abstract: The tail of the distribution for the "mean cluster size" (susceptibility) at the site percolation threshold is found by Monte Carlo simulations to be exponential. Similar distributions might be expected for the market volatility, if stock price fluctuations are described by Cont–Bouchaud percolation.

Keywords: Volatility; Susceptibility; Monte Carlo; Seven Dimensions (search for similar items in EconPapers)
Date: 2000
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DOI: 10.1142/S0129183100000432

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